Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077072 | Insurance: Mathematics and Economics | 2012 | 11 Pages |
Abstract
⺠We develop a general theory of local risk minimization in discrete time. ⺠We apply this theory to the pricing and hedging of equity-linked insurance contracts. ⺠We prove factorization theorems simplifying the pricing and hedging of these contracts.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jérôme Pansera,